nautilus_model/instruments/
crypto_option.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Posei Systems Pty Ltd. All rights reserved.
3//  https://poseitrader.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::hash::{Hash, Hasher};
17
18use nautilus_core::{
19    UnixNanos,
20    correctness::{FAILED, check_equal_u8},
21};
22use rust_decimal::Decimal;
23use serde::{Deserialize, Serialize};
24use ustr::Ustr;
25
26use super::{Instrument, any::InstrumentAny};
27use crate::{
28    enums::{AssetClass, InstrumentClass, OptionKind},
29    identifiers::{InstrumentId, Symbol},
30    types::{
31        currency::Currency,
32        money::Money,
33        price::{Price, check_positive_price},
34        quantity::{Quantity, check_positive_quantity},
35    },
36};
37
38/// Represents a generic option contract instrument.
39#[repr(C)]
40#[derive(Clone, Copy, Debug, Serialize, Deserialize)]
41#[cfg_attr(
42    feature = "python",
43    pyo3::pyclass(module = "posei_trader.core.nautilus_pyo3.model")
44)]
45pub struct CryptoOption {
46    /// The instrument ID.
47    pub id: InstrumentId,
48    /// The raw/local/native symbol for the instrument, assigned by the venue.
49    pub raw_symbol: Symbol,
50    /// The underlying asset.
51    pub underlying: Currency,
52    /// The contract quote currency.
53    pub quote_currency: Currency,
54    /// The settlement currency.
55    pub settlement_currency: Currency,
56    /// If the instrument costing is inverse (quantity expressed in quote currency units).
57    pub is_inverse: bool,
58    /// The kind of option (PUT | CALL).
59    pub option_kind: OptionKind,
60    /// The option strike price.
61    pub strike_price: Price,
62    /// UNIX timestamp (nanoseconds) for contract activation.
63    pub activation_ns: UnixNanos,
64    /// UNIX timestamp (nanoseconds) for contract expiration.
65    pub expiration_ns: UnixNanos,
66    /// The option contract currency.
67    pub price_precision: u8,
68    /// The trading size decimal precision.
69    pub size_precision: u8,
70    /// The minimum price increment (tick size).
71    pub price_increment: Price,
72    /// The minimum size increment.
73    pub size_increment: Quantity,
74    /// The option multiplier.
75    pub multiplier: Quantity,
76    /// The rounded lot unit size (standard/board).
77    pub lot_size: Quantity,
78    /// The initial (order) margin requirement in percentage of order value.
79    pub margin_init: Decimal,
80    /// The maintenance (position) margin in percentage of position value.
81    pub margin_maint: Decimal,
82    /// The fee rate for liquidity makers as a percentage of order value.
83    pub maker_fee: Decimal,
84    /// The fee rate for liquidity takers as a percentage of order value.
85    pub taker_fee: Decimal,
86    /// The maximum allowable order quantity.
87    pub max_quantity: Option<Quantity>,
88    /// The minimum allowable order quantity.
89    pub min_quantity: Option<Quantity>,
90    /// The maximum allowable order notional value.
91    pub max_notional: Option<Money>,
92    /// The minimum allowable order notional value.
93    pub min_notional: Option<Money>,
94    /// The maximum allowable quoted price.
95    pub max_price: Option<Price>,
96    /// The minimum allowable quoted price.
97    pub min_price: Option<Price>,
98    /// UNIX timestamp (nanoseconds) when the data event occurred.
99    pub ts_event: UnixNanos,
100    /// UNIX timestamp (nanoseconds) when the data object was initialized.
101    pub ts_init: UnixNanos,
102}
103
104impl CryptoOption {
105    /// Creates a new [`CryptoOption`] instance with correctness checking.
106    ///
107    /// # Notes
108    ///
109    /// PyO3 requires a `Result` type for proper error handling and stacktrace printing in Python.
110    /// # Errors
111    ///
112    /// Returns an error if any input validation fails.
113    #[allow(clippy::too_many_arguments)]
114    pub fn new_checked(
115        instrument_id: InstrumentId,
116        raw_symbol: Symbol,
117        underlying: Currency,
118        quote_currency: Currency,
119        settlement_currency: Currency,
120        is_inverse: bool,
121        option_kind: OptionKind,
122        strike_price: Price,
123        activation_ns: UnixNanos,
124        expiration_ns: UnixNanos,
125        price_precision: u8,
126        size_precision: u8,
127        price_increment: Price,
128        size_increment: Quantity,
129        multiplier: Option<Quantity>,
130        max_quantity: Option<Quantity>,
131        min_quantity: Option<Quantity>,
132        max_notional: Option<Money>,
133        min_notional: Option<Money>,
134        max_price: Option<Price>,
135        min_price: Option<Price>,
136        margin_init: Option<Decimal>,
137        margin_maint: Option<Decimal>,
138        maker_fee: Option<Decimal>,
139        taker_fee: Option<Decimal>,
140        ts_event: UnixNanos,
141        ts_init: UnixNanos,
142    ) -> anyhow::Result<Self> {
143        check_equal_u8(
144            price_precision,
145            price_increment.precision,
146            stringify!(price_precision),
147            stringify!(price_increment.precision),
148        )?;
149        check_equal_u8(
150            size_precision,
151            size_increment.precision,
152            stringify!(size_precision),
153            stringify!(size_increment.precision),
154        )?;
155        check_positive_price(price_increment, stringify!(price_increment))?;
156        if let Some(multiplier) = multiplier {
157            check_positive_quantity(multiplier, stringify!(multiplier))?;
158        }
159
160        Ok(Self {
161            id: instrument_id,
162            raw_symbol,
163            underlying,
164            quote_currency,
165            settlement_currency,
166            is_inverse,
167            option_kind,
168            strike_price,
169            activation_ns,
170            expiration_ns,
171            price_precision,
172            size_precision,
173            price_increment,
174            size_increment,
175            multiplier: multiplier.unwrap_or(Quantity::from(1)),
176            lot_size: Quantity::from(1),
177            margin_init: margin_init.unwrap_or_default(),
178            margin_maint: margin_maint.unwrap_or_default(),
179            maker_fee: maker_fee.unwrap_or_default(),
180            taker_fee: taker_fee.unwrap_or_default(),
181            max_notional,
182            min_notional,
183            max_quantity,
184            min_quantity: Some(min_quantity.unwrap_or(1.into())),
185            max_price,
186            min_price,
187            ts_event,
188            ts_init,
189        })
190    }
191
192    /// Creates a new [`CryptoOption`] instance.
193    ///
194    /// # Panics
195    ///
196    /// Panics if any parameter is invalid (see `new_checked`).
197    #[allow(clippy::too_many_arguments)]
198    pub fn new(
199        instrument_id: InstrumentId,
200        raw_symbol: Symbol,
201        underlying: Currency,
202        quote_currency: Currency,
203        settlement_currency: Currency,
204        is_inverse: bool,
205        option_kind: OptionKind,
206        strike_price: Price,
207        activation_ns: UnixNanos,
208        expiration_ns: UnixNanos,
209        price_precision: u8,
210        size_precision: u8,
211        price_increment: Price,
212        size_increment: Quantity,
213        multiplier: Option<Quantity>,
214        max_quantity: Option<Quantity>,
215        min_quantity: Option<Quantity>,
216        max_notional: Option<Money>,
217        min_notional: Option<Money>,
218        max_price: Option<Price>,
219        min_price: Option<Price>,
220        margin_init: Option<Decimal>,
221        margin_maint: Option<Decimal>,
222        maker_fee: Option<Decimal>,
223        taker_fee: Option<Decimal>,
224        ts_event: UnixNanos,
225        ts_init: UnixNanos,
226    ) -> Self {
227        Self::new_checked(
228            instrument_id,
229            raw_symbol,
230            underlying,
231            quote_currency,
232            settlement_currency,
233            is_inverse,
234            option_kind,
235            strike_price,
236            activation_ns,
237            expiration_ns,
238            price_precision,
239            size_precision,
240            price_increment,
241            size_increment,
242            multiplier,
243            max_quantity,
244            min_quantity,
245            max_notional,
246            min_notional,
247            max_price,
248            min_price,
249            margin_init,
250            margin_maint,
251            maker_fee,
252            taker_fee,
253            ts_event,
254            ts_init,
255        )
256        .expect(FAILED)
257    }
258}
259
260impl PartialEq<Self> for CryptoOption {
261    fn eq(&self, other: &Self) -> bool {
262        self.id == other.id
263    }
264}
265
266impl Eq for CryptoOption {}
267
268impl Hash for CryptoOption {
269    fn hash<H: Hasher>(&self, state: &mut H) {
270        self.id.hash(state);
271    }
272}
273
274impl Instrument for CryptoOption {
275    fn into_any(self) -> InstrumentAny {
276        InstrumentAny::CryptoOption(self)
277    }
278
279    fn id(&self) -> InstrumentId {
280        self.id
281    }
282
283    fn raw_symbol(&self) -> Symbol {
284        self.raw_symbol
285    }
286
287    fn asset_class(&self) -> AssetClass {
288        AssetClass::Cryptocurrency
289    }
290
291    fn instrument_class(&self) -> InstrumentClass {
292        InstrumentClass::Option
293    }
294
295    fn underlying(&self) -> Option<Ustr> {
296        Some(self.underlying.code)
297    }
298
299    fn base_currency(&self) -> Option<Currency> {
300        Some(self.underlying)
301    }
302
303    fn quote_currency(&self) -> Currency {
304        self.quote_currency
305    }
306
307    fn settlement_currency(&self) -> Currency {
308        self.settlement_currency
309    }
310
311    fn is_inverse(&self) -> bool {
312        false
313    }
314
315    fn isin(&self) -> Option<Ustr> {
316        None // Not applicable
317    }
318
319    fn option_kind(&self) -> Option<OptionKind> {
320        Some(self.option_kind)
321    }
322
323    fn strike_price(&self) -> Option<Price> {
324        Some(self.strike_price)
325    }
326
327    fn activation_ns(&self) -> Option<UnixNanos> {
328        Some(self.activation_ns)
329    }
330
331    fn expiration_ns(&self) -> Option<UnixNanos> {
332        Some(self.expiration_ns)
333    }
334
335    fn exchange(&self) -> Option<Ustr> {
336        None // Not applicable (these are tradfi MICs)
337    }
338
339    fn price_precision(&self) -> u8 {
340        self.price_precision
341    }
342
343    fn size_precision(&self) -> u8 {
344        self.size_precision
345    }
346
347    fn price_increment(&self) -> Price {
348        self.price_increment
349    }
350
351    fn size_increment(&self) -> Quantity {
352        self.size_increment
353    }
354
355    fn multiplier(&self) -> Quantity {
356        self.multiplier
357    }
358
359    fn lot_size(&self) -> Option<Quantity> {
360        Some(self.lot_size)
361    }
362
363    fn max_quantity(&self) -> Option<Quantity> {
364        self.max_quantity
365    }
366
367    fn min_quantity(&self) -> Option<Quantity> {
368        self.min_quantity
369    }
370
371    fn max_notional(&self) -> Option<Money> {
372        self.max_notional
373    }
374
375    fn min_notional(&self) -> Option<Money> {
376        self.min_notional
377    }
378
379    fn max_price(&self) -> Option<Price> {
380        self.max_price
381    }
382
383    fn min_price(&self) -> Option<Price> {
384        self.min_price
385    }
386
387    fn ts_event(&self) -> UnixNanos {
388        self.ts_event
389    }
390
391    fn ts_init(&self) -> UnixNanos {
392        self.ts_init
393    }
394}
395
396////////////////////////////////////////////////////////////////////////////////
397// Tests
398////////////////////////////////////////////////////////////////////////////////
399#[cfg(test)]
400mod tests {
401    use rstest::rstest;
402
403    use crate::instruments::{CryptoOption, stubs::*};
404
405    #[rstest]
406    fn test_equality(crypto_option_btc_deribit: CryptoOption) {
407        let crypto_option = crypto_option_btc_deribit;
408        assert_eq!(crypto_option_btc_deribit, crypto_option);
409    }
410}
nautilus_model/instruments/crypto_option.rs

nautilus_model/instruments/
crypto_option.rs
